Have you tried highlighting the files and pressing shift-delete? Hold shift and press delete at the same time.
Sometimes windows (I'm assuming this is a windows system) gets a bit confused about file permissions so:
Use an administrator account to try to delete if you are not already doing so.
Try the delete again after the machine has been turned off an on-sometimes this helps, sometimes not.
I have only once had a 'stuck' file that absolutely nobody could remove-even IT pros. It was removed when I (for another reason) reinstalled the operating system: it's certainly not worth the hardship of reinstalling the operating system for an undeletable file!
B